Master Thesis Online
Do investors choose hedge funds according to their past performance ? A flow & performance analysis
Goller, Rachel 
Promoteur(s) :
Lambert, Marie
Date de soutenance : 24-jui-2020/26-jui-2020 • URL permanente : http://hdl.handle.net/2268.2/8953
s151225Goller2020.pdfDétails
| Titre : | Do investors choose hedge funds according to their past performance ? A flow & performance analysis |
| Auteur : | Goller, Rachel
|
| Date de soutenance : | 24-jui-2020/26-jui-2020 |
| Promoteur(s) : | Lambert, Marie
|
| Membre(s) du jury : | Moreno Miranda, Nicolas
Maclot, Philippe |
| Langue : | Anglais |
| Nombre de pages : | 71 |
| Mots-clés : | [en] hedge fund [en] mutual fund [en] performance [en] flow [en] manager skills [en] alternative investments [en] UCITS [en] panel regression |
| Discipline(s) : | Sciences économiques & de gestion > Finance |
| Public cible : | Etudiants |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Diplôme : | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculté : | Mémoires de la HEC-Ecole de gestion de l'Université de Liège |
Résumé
[en] After the financial crisis of 2008, it was clear that investors were craving more transparency, liquidity and protection. Hedge fund managers saw an opportunity in the UCITS directive to launch UCITS compliant hedge funds and hedged mutual funds under the Investment Company Act of 1940. Previous studies have shown that the performance of funds drives the capital flows but no research has yet discovered whether the flows of liquid hedge funds and pure hedge funds are driven by their respective past performance. Using two different asset pricing models and a panel regression, this research suggests that liquid hedge funds are more sensitive to hedge funds' performance while hedge fund investors do not appear to react to positive liquid hedge funds' performance.
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